CUED Publications database

Factor analysis of moving average processes

Zorzi, M and Sepulchre, R (2015) Factor analysis of moving average processes. In: UNSPECIFIED pp. 3579-3584..

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© 2015 EUCA. The paper considers an extension of factor analysis to moving average processes. The problem is formulated as a rank minimization of a suitable spectral density. It is shown that it can be adequately approximated via a trace norm convex relaxation.

Item Type: Conference or Workshop Item (UNSPECIFIED)
Divisions: Div F > Control
Depositing User: Cron Job
Date Deposited: 17 Jul 2017 19:11
Last Modified: 22 May 2018 06:53